Analytical solution for the constrained Hansen-Jagannathan distance under multivariate ellipticity
Year of publication: |
2012
|
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Authors: | Gospodinov, Nikolay ; Kan, Raymond ; Robotti, Cesare |
Publisher: |
Atlanta, GA : Federal Reserve Bank of Atlanta |
Subject: | Hansen-Jagannathan distance | no-arbitrage | model ranking | multivariate elliptical distributions |
Series: | Working Paper ; 2012-18 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 730903117 [GVK] hdl:10419/70680 [Handle] |
Classification: | G12 - Asset Pricing |
Source: |
-
Robust iInference in linear asset pricing models
Gospodinov, Nikolay, (2012)
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Specification tests of asset pricing models using excess returns
Kan, Raymond, (2006)
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Model comparison using the Hansen-Jagannathan distance
Kan, Raymond, (2007)
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Robust iInference in linear asset pricing models
Gospodinov, Nikolay, (2012)
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Chi-squared tests for evaluation and comparison of asset pricing models
Gospodinov, Nikolay, (2011)
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On the Hansen-Jagannathan distance with a no-arbitrage constraint
Gospodinov, Nikolay, (2010)
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